You are right that the Yoneda lemma plays the key role in the proof.
By the definition of convolution:
$$(F \otimes G) \otimes H \approx \int^{C, D} \left(\int^{A, B} F(A) \times G(B) \times \hom(C, A \otimes B)\right) \times H(D) \times \hom(-, C \otimes D)$$
Because products in $\mathbf{Set}$ preserve coends, the above is isomorphic to:
$$\int^{A, B, C, D} F(A) \times G(B) \times \hom(C, A \otimes B) \times H(D) \times \hom(-, C \otimes D)$$
The Yoneda lemma says that any covariant functor $K(A)$ is naturally isomorphic to $\hom(\hom(A, -), K)$. By definition, the last object is the end $\int_C K(C)^{\hom(A, C)}$. Therefore the Yoneda lemma says:
$$K(A) \approx \int_C K(C)^{\hom(A, C)}$$
By duality, we get the Yoneda lemma for contravariant functors $K$:
$$K(A) \approx \int^C K(C) \times \hom(A, C)$$
and from the perspective of the opposite category, for covariant functors $K$:
$$K(A) \approx \int^C K(C) \times \hom(C, A)$$
where the end turned into the coend and the exponent turned into the product.
In our case, we may reduce by Yoneda $\hom(C, A\otimes B)$ with $\hom(-, C \otimes D)$ under the coend:
$$\int^C \hom(-, C \otimes D) \times \hom(C, A\otimes B) \approx \hom(-, (A \otimes B) \otimes D)$$
obtaining:
$$\int^{A, B, D} F(A) \times G(B) \times H(D) \times \hom(-, (A \otimes B) \otimes D)$$
Due to associativity of $\otimes$ we know that $(A \otimes B) \otimes D \approx A \otimes (B \otimes D)$. Now it suffices to "unwind" the coend in the other direction.